Questions tagged [discount-factor-curve]

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11
votes
3answers
2k views

Deriving Interest Rates

I am trying to teach myself about interest rate swaps, how they are priced, etc... Easy enough - just comparing cash flows of fixed and floating rate bonds. However, what I'm struggling with is how ...
5
votes
3answers
310 views

Curve building dates overlapping impact on discount factor

I'm building a short end of the libor curve using deposit & fra due to overlapping in dates I get wrong values of Discount factor, here's the data i'm working with: My today date is : 23/10/2019 ...
1
vote
1answer
1k views

Calculating Discount Margin on a floating rate bond using QuantLib

Going off Luigi's hint on this answer: Setting up Schedule for an amortizing floater in QuantLib I was able to cobble something together but I'm unable to verify if it's correct. TLDR: I was able to ...
0
votes
2answers
482 views

How is the price of a bond actually determined?

How the price of a bond is actually determined? Is it the supply-demand that determines the price first and then the YTM is calculated on the back of this for that bond. Or is it that the changes to ...